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学习计量经济学：教材，论文，软件，手册，数据
资料来源：http://www.cenet.org.cn/cn/ReadNews.asp?NewsID=20405
计量是工具也是理论，它不是普通计算机软件，不懂背后的道理也可以用，强烈反对不掌握扎实的理论就去“应用”计量经济学”。
此文作者的学习经历：读过大多数国际流行的各种“级别”的计量教科书（除了HAYASHI那本，没借到），熟悉SAS，做过大量计算机练习，实际操练过不少中国的数据，现在读paper，参考手册。
开始篇（不是入门，那是很往后的事情了）
个人认为只有wooldridge那本书是值得反复读的（是那个初级本，国内译本也很好），古扎拉弟就算了，很多理论上的原因大家学到后来就明白了。古的书我读了两遍，现在早就扔了。但现在依然常常翻阅WOO.对于开始的人，woo书上的海量例子太宝贵了，而且绝大多数取材于著名论文，值得仔细品味。
学习方法：用随便那个软件（我用SAS）把书中的例子几乎全部做一遍，知道你用的软件所报告的结果中那些重要的东西是怎么来的（不用知道的太精确），该怎么解释。―――书上后来那几章不懂也没关系。
数学要求：基础数理统计学（就是一般初级书上附录那些内容），不用懂大样本理论，知道有一致性这个概念就行了，并且记住它是计量经济学中几乎唯一重要的评价统计量的标准。什么无偏啊有效啊都几乎是空中楼阁，达不到的标准。
忠告：1、别管 R square，几乎不用管多重共线性，知道异方差和自相关的概念就行了，知道大概怎么诊断，至于纠正嘛，不用太在意。不过对于GLS还是要有个认识。
2、对于简单二元模型中OLS相关的重要推导全部背下来，不多，但很重要。
3、这个阶段不要陷入公式推导。
4、如果你是初学者，不要指望把woo的书处处看懂，差不多就行了。
5、可以拿中国的数据操练一下。
入门篇
数学要求：矩阵，大样本理论 稍微再难一点的统计学
矩阵书很多，GREEN附录也可以（推荐Dhrymes --mathematics for econometrics,这本书对大多数人来说需要看的也就大概三四十页吧）。大样本理论有难度，需要做比较严肃的准备，有比较好的概率背景的同学大概也需要时间来适应其中繁琐的推导，white---asympotic theory for econometricians前三四章是值得花时间的。数理统计学教材多如牛毛，不说了，大致GREEN附录的那些内容是要了解的（尤其MLE）。
教材：买一本GREEN的书放着，看完附录就算了，可以以后时不时的查阅其中其他内容。读过这本书的同学我相信会有很多人认为它是不值得通读的，没有重点，全面铺开，很恶心的做法。而且这本书例子不多，实际上我认为思想也很肤浅，没有着重捕捉回归的思想，计量模型中的因果含义等等。
建议：读Golderberg（怀疑又拼错了）吧，个人认为和GREEN功力的差距是本质的，又短又好的一本书，某些地方值得反复读啊读。起码他会真正告诉你OLS假设的含义，呵呵。
基本读完这本书之后，对计量差不多就有个认识了，可以真正开始深入学习了，wooldridge（2001）和hamilton的很多章节是必读的。学到这个阶段的朋友就不需要我多罗嗦了。估计手册和必读的精彩论文都已经有所认识了。
忠告：1、要时不时的作个图看看，不看图（尤其是时间序列）是疯子的做法。ARMA模型要玩熟，要不然总有一天你得回来重新再学，嘿嘿。
2、学好OLS的相关内容实在是太重要了，不要见了更高深的方法就以为OLS没用了，多学几遍OLS吧。基本的矩阵推导要烂熟烂熟烂熟！大样本的结论坚持都推一遍。
3、可以尝试着用计量了，记住如果你只有二三十个样本点，最好不要计量。如果你有50个左右，解释变量别超过三个。
学得挺闷吧，JEP 2001 FALL整整一本讲计量应用的，全是顶尖大牛，每人讲一个方法，要求文章中公式不超过三个，巨精彩。什么非参半参，GMM（wooldridge），IV(angrist@kruger), VAR, GARCH(granger),等等等等。唉，太精彩了。
坚决反对滥用计量，欢迎跟贴讨论。
参见：http://bbs.cenet.org.cn/dispbbs.asp?boardID=33751&ID=69716
确实，古扎拉第的书真的就算了，现在很多本科或研究生教学还用那本书有些说不过去。 wooldridge的现代方法真的是最好的中级计量教科书，论述清晰、实证导向。 有在研究生高级计量经济学课程上取得很好成绩的人，也如此评价————在看了wooldridge的书后才明白怎么做计量。
不太明白为什么GREEN的书在国内被称做圣经，其实就是在AMZON上，这本书得到很多负面评价。
http://www.amazon.com/gp/product/customer-reviews/0130661899/ref=cm_cr_dp_2_1/103-2513422-8868607?%5Fencoding=UTF8&customer-reviews.sort%5Fby=-SubmissionDate&n=507846
好的评价，比如
****** Absolute leader among all the Econometrics textbooks , May 3, 2005
Reviewer: Oleg S (Moscow, Russia) - See all my reviews
This book is inspiring!
The coverage is very broad and it can serve as a handbook for graduate students. Even the hardest bits of econometrics are explained in an easy to understand way.
My personal favourites are chapters 16, 17 and 18.
I will definetely buy a hardcover of the next edition of this econometrics masterpiece.
Summing up, it''s one of my favourite books.
差的评价，比如
Trash, March 29, 2004
Reviewer: A reader
The book is comprehensive certainly, but its explanations are so confusing that I just could not understand the differences between GMM, GLS, 2SLS, and IV estimation. Moreover, its index is just about the worst I have ever seen -- it''ll introduce GLS, for example, earlier in the text, but if you look up GLS in the index, it''ll point you to an obscure reference several chapters down! I would recommend getting Hayashi instead for a gorgeous GMM treatment or Davidson & McKinnon for a thorough intuition of linear projections; Greene may be good as a reference but I don''t see it being too helpful. Plus, it''s over-priced.
————————————————————
Fumio Hayashi 的《 Econometrics》则是好评如潮。 很多人纳闷：不知道为什么小日本教科书写的这么好。
5 of 5 people found the following review helpful:
A modern and unusal approach, January 27, 2005
Reviewer: Il Vecchio Gufo (USA) - See all my reviews
This is a fine book, but probably not the one you want to buy if you are looking for ONE all-encompassing reference. The approach is interesting, but unusual, with all the pros and cons that come with originality. It is for graduate students, or very advanced undergraduates, as it requires quite a lot of previous knowledge of linear algebra and statistics.
What is unusual about this book is that it covers most topics within a unifying Generalized Method of Moments (GMM) framework. Many many estimators are treated as special cases of GMM. The book is clear, and the notation is mostly OK, even if the chapters on panel data and systems of simultaneous equations are a notational nightmare, partly because of the choice of treating everything in a GMM framework. Another unusual aspect of this book is the emphasis on certain regularity conditions (such as ergodicity) that are usually used in a time-series framework, but are not commonly seen in cross-section analysis. I studied (also) on this book as a graduate student, and overall I liked it. The only real minus are the exercises, which contain so many hints that they become trivial (really, I am not a genius...). Worse, they only require mindless application of linear algebra. One UNimporant cons of this book is the fact that it is... ugly! How could the publisher choose the boring "Times New Roman" font for this book!? But this, of course, does not really matter....
Overall, a useful and good book, but if you are looking for ONE textbook in cross-section econometrics Wooldridge is probably a better choice, and if what you are looking for is ONE book in time series, Hamilton is likely to be what you want on your shelf.
9 of 9 people found the following review helpful:
The Most Readable Econometrics Text There Is. Period, October 18, 2004
Reviewer: econstudent - See all my reviews
I think Hayashi is the best econometrics textbook to come along in a long time. The treatment has that rare quality of being simultaneously sophisticated yet very easy to follow. In that sense, this book is much different than Greene - whereas Greene is (I think) much more of a reference, you can actually sit down and learn a lot of econometrics with this book. Hayashi not only takes the time to explain key concepts in good prose, but in some cases even writes down step-by-step instructions. All this while not compromising the material.
The treatment is also slightly different in that GMM is a central theme instead of something off to the side, which is very nice. There are plenty of empirical examples - these are somewhat helpful, and the exercises are fairly easy but still illustrative.
Two downsides - it would have been nice to see some treatment of Bayesian econometrics, since this appears to be used much more widely (Lancaster is a good supplement). Second, either I got a faulty book, or there are no tables of critical values. This is ultimately a minor gripe since just about every other book has tables (and you really don''t even need them these days with packages and such), but it can be annoying.
Ultimately, the combination of sophistication and readability of this book is what sets it apart from all others. If you''re looking to learn econometrics, buy this book.
Russell Davidson, James G. Mackinnon 的 《Econometric Theory and Methods》也是一本使用比较广泛的教科书。
大牛Takeshi Amemiya 的 《Advanced Econometrics 》出版于1985年，是一本广受赞誉的书。
5 of 5 people found the following review helpful:
Excellent reference, but not an easy read!, January 12, 2005
Reviewer: Il Vecchio Gufo (USA) - See all my reviews
This book is justly considered a classic. It has been around for many years, and with some reasons. It provides a very rigorous treatment of many fundamental concepts in cross-section econometrics, such as linear and non-linear models, M-estimation, maximum likelihood, limited dependend variable models. It also has one of the best and more rigorous yet accessible treatments of basic asymptotic theory (the examples and countexamples in this section are uncommonly good). Amemiya is very very rigorous, and this a book where typos and sloppiness do now dwell. Overall, it is not an easy read, though, unless you have a very strong math/stat background, or you are genius. One thing I always liked about this book, indeed, is the very honest title, ADVANCED econometrics, not "Introduction" to econometrics. This book is mostly used as part of the reading list in second-year PhD courses in cross-sectional econometrics. I don''t think it would be a good choice for a first year course. But if econometrics is a serious component of your professional life you will be happy to have Amemiya around, and you will keep reaching for it, once in a while. It is a bit too techinical, difficult, and dry to be my ideal textbook, but it is outstanding nonetheless. I find the chapters on asymptotic theory and limited dependent variables particularly well written. On the minus side, it is now a relatively old book, and you will find here many obsolete technical tools, as well as the absence of many important and modern techniques. In particular, note that you will NOT find anything here about nonparametric and semiparametric techniques, panel data, time series. There are many (very short) empirical applications scattered around the book, but most of them are (necessarily, given the publication year) very very obsolete.
Overall, still a great book highly recommended for people who are into advanced econometrics. But if you want an introduction to cross-section econometrics, you may want to look at other textbooks such as Greene, Ruud, Davidson-McKinnon, Hayashi (more time-series oriented) and especially the "graduate" Wooldridge (Econometric Analysis of Cross-Section and Panel Data), which in my humble opinion is currently the very best option around.
P.S. Harvard University Press also has merit of printing Amemiya on top-quality paper and choosing a very nice format for the book. It''s a pleasure to browse its pages！
12 of 15 people found the following review helpful:
Top choice, January 28, 2000
Reviewer: A reader
Both comprehensive and well-structured this book proves indispensable for anyone delving into the realms of econometrics. Starting from classical least squares the author guides the reader to time series analysis, gls, nonlinear simultaneous equations models up to qr and tobit models. If formulas are a necessary condition for a good study book in econometrics, the clear language of this book fulfills the sufficient condition for any book in this category.
Arthur S. Goldberger 的《A Course in Econometrics》。
Customer Reviews
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0 of 2 people found the following review helpful:
Nice starter, October 30, 2004
Reviewer: CCP (New York, New York United States) - See all my reviews
It is a useful book to understand some of the basics in econometrics.
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4 of 4 people found the following review helpful:
Excellent as an introduction and as a reference., September 6, 1999
Reviewer: A reader
This is one of those rare textbooks that manages to be both a good introduction to the subject and a useful reference. Readable on the first try and well organized. Highly recommended.
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5 of 5 people found the following review helpful:
Terse but very good, May 16, 1999
Reviewer: A reader
This textbook for advanced undergraduates or first-year graduate students leads the reader through the basic concepts and statistical procedures of econometrics. The extensive use of matrix notation allows the reader to easily apply Goldberger''s formulae to actual data (especially with computer packages such as Gauss and Matlab). Although the author gives brief treatments which sometimes require several readings to be fully understood, he is by no means unclear or confusing. Quite the contrary, as the book is very concise. Sections which I found especially useful and interesting were: 22.5 Statistical versus Economic Significance, 23 Multicollinearity (actually humorous!), and 24 Regression Strategies.
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2 of 3 people found the following review helpful:
Very readable by your own self., November 2, 1998
Reviewer: A reader
Maybe this is one of the most famous books in classical econometrics now at graduate level. Different from other overwhelming econometrics text books (e.g., Greene), this textbook is very readable and still practical. I liked it.
Goldberger还著有一本初级教科书 《INTRODUCTORY ECONOMETRICS》。
现在中国的学生真的很幸运，因为很多的书在国外出版不久，就被翻译或影印到国内了。
比如 两位时序领域的巨人 James H. Stock, Mark W. Watson 的初中级教科书 Introduction to Econometrics， 我先是看到上海财经大学出了这本 书的影印本，接着又发现东北财经大学出版社 又出版了中文版。
出版周期真的是很快。
有的人除了是好的研究者，还是天生的好的教科书的作者、好的教授。比如已故的G. S. Maddala 教授，他和古扎拉第都是印度人。
他写的初级教科书《 Introduction to Econometrics 》3rd Edition，个人认为要比古扎拉第的好太多了。
参见：http://bbs.cenet.org.cn/dispbbs.asp?boardID=33751&ID=69716
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